Fair value of financial instruments

12 Months Ended

Dec. 31, 2025

Disclosure of detailed information about financial instruments [abstract]

Accounting for financial assets and liabilities – fair value

Financial instruments that are held for trading are recognised at fair value through profit or loss. In addition, financial assets

are held at fair value through profit or loss if they do not contain contractual terms that give rise on specified dates to cash

flows that are SPPI, or if the financial asset is not held in a business model that is either (i) a business model to collect the

contractual cash flows or (ii) a business model that is achieved by both collecting contractual cash flows and selling.

Subsequent changes in fair value for these instruments are recognised in the income statement in net investment income,

except if reporting it in trading income reduces an accounting mismatch.

Wherever possible, fair value is determined by reference to a quoted market price for that instrument. For many of the

Barclays Bank Group’s financial assets and liabilities, including derivatives, quoted prices are not available and valuation

models are used to estimate fair value. The models calculate the expected cash flows under the terms of each specific

contract and then discount these values back to a present value. These models use as their basis independently sourced

market inputs including, for example, interest rate yield curves, equities and commodities prices, option volatilities and

currency rates.

For financial liabilities measured at fair value, the carrying amount also reflects the effect on fair value of changes in own

credit spreads derived from observable market data such as in primary issuance and redemption activity for structured

notes.

The Barclays Bank Group uses the portfolio exemption in IFRS 13 Fair Value Measurement to measure the fair value of

groups of financial assets and liabilities. Financial instruments are measured using the price that would be received to sell a

net long position (i.e. an asset) for a particular risk exposure or to transfer a net short position (i.e. a liability) for a particular

risk exposure in an orderly transaction between market participants at the balance sheet date under current market

conditions. Accordingly, Barclays Bank Group measures the fair value of the group of financial assets and liabilities

consistently with how market participants would price the net risk exposure at the measurement date.

On initial recognition, the transaction price often reflects the fair value of the asset or liability. However, in some

circumstances, fair value may differ to the transaction price when there is information to the contrary. If the fair value of the

instrument is observable from current market transactions in the same instrument, or based on a valuation technique whose

inputs only include observable inputs, then the instrument is initially recognised at fair value and the difference to the

transaction price is recognised in profit or loss.

For valuations that have made use of unobservable inputs, the difference between the model valuation and the initial

transaction price (day one profit) is recognised in profit or loss either: on a straight-line basis over the term of the

transaction; or over the period until all inputs will become observable where appropriate; or released in full when previously

unobservable inputs become observable.

Various factors influence the availability of observable inputs, and these may vary from product to product and change over

time. Factors include the depth of activity in the relevant market, the type of product, whether the product is new and not

widely traded in the marketplace, the maturity of market modelling and the nature of the transaction (bespoke or generic).

To the extent that valuation is based on models or inputs that are not observable in the market, the determination of fair

value can be more subjective, dependent on the significance of the unobservable input to the overall valuation.

Unobservable inputs are determined based on the best information available, for example by reference to similar assets,

similar maturities, or other analytical techniques.

The sensitivity of valuations used in the financial statements to possible changes in significant unobservable inputs is shown

on page 226.

Valuation Control Framework

The Barclays Group has an established valuation control framework that oversees valuation methodologies, standards and

procedures.

Critical accounting estimates and judgements

Key areas involving a higher degree of judgement or estimation include:


Judgements	Estimates
Classification of financial instruments with significant unobservable inputs as Level 3.	Valuation of Level 3 assets and liabilities are typically determined by referencing observable inputs, historical data, or employing other analytical techniques.

These estimates are considered to have a significant risk of resulting in a material adjustment to the carrying amounts of

financial assets and financial liabilities measured at fair value within the next financial year.

The valuation of financial instruments often involves a significant degree of judgement and complexity, in particular where

valuation models make use of unobservable inputs (‘Level 3’ assets and liabilities). This note provides information on these

instruments, including the related unrealised gains and losses recognised in the period, a description of significant valuation

techniques and unobservable inputs, and a sensitivity analysis.

For assets and liabilities traded in active markets, it is determined that the market valuation includes a representation of the

prevailing view of climate-related risks. Within less active markets, for counterparties and instruments identified as being

more susceptible to climate change risk, an impact assessment was performed through increasing their probability of

default. The change in valuation of the assets and liabilities from this assessment was sufficiently immaterial to necessitate

any amendment to the reported 2025 year-end valuations.

Valuation

Assets and liabilities are classified according to a hierarchy that reflects the observability of significant market inputs. The

three levels of the fair value hierarchy are defined below with judgement applied in determining the boundary between Level

2 and 3 classifications.

Valuation techniques using quoted market prices – Level 1

Assets and liabilities are classified as Level 1 if their value is observable in an active market. Such instruments are valued by

reference to unadjusted quoted prices for identical assets or liabilities in active markets where the quoted price is readily

available, and the price represents actual and regularly occurring market transactions. An active market is one in which

transactions occur with sufficient volume and frequency to provide pricing information on an ongoing basis.

Valuation techniques using observable inputs – Level 2

Assets and liabilities classified as Level 2 have been valued using models whose inputs are observable either directly or

indirectly. A valuation input is considered observable if it can be directly observed from transactions in an active market, or if

there is compelling external evidence demonstrating an executable exit price. Valuations based on observable inputs include

assets and liabilities such as swaps and forwards which are valued using market standard pricing techniques, and options

that are commonly traded in markets where all the inputs to the market standard pricing models are observable. For certain

instruments that derive a fair value using unobservable inputs that are not considered significant, then the asset or liability

may be classified as Level 2.

Valuation techniques using significant unobservable inputs – Level 3

Assets and liabilities are classified as Level 3 if their valuation incorporates significant inputs that are not based on

observable market data (unobservable inputs). Unobservable input levels are generally determined via reference to

observable inputs, historical observations or using other analytical techniques.

The following table shows assets and liabilities that are held at fair value disaggregated by the fair value hierarchy and

balance sheet classification:


Assets and liabilities held at fair value
	2025				2024
	Valuation techniques used				Valuation techniques used
	Quoted market price	Observable inputs	Significant unobservable inputs		Quoted market price	Observable inputs	Significant unobservable inputs
	Level 1	Level 2	Level 3	Total	Level 1	Level 2	Level 3	Total
Barclays Bank Group	£m	£m	£m	£m	£m	£m	£m	£m
Trading portfolio assets	110,773	68,623	10,347	189,743	77,581	78,548	10,115	166,244
Financial assets at fair value through the income statement	5,015	173,801	6,186	185,002	3,463	182,391	5,991	191,845
Derivative financial assets	108	250,374	1,710	252,192	101	290,182	2,073	292,356
Financial assets at fair value through other comprehensive income	31,640	8,110	3,068	42,818	19,021	28,315	3,674	51,010
Investment property	—	—	43	43	—	—	9	9
Total assets	147,536	500,908	21,354	669,798	100,166	579,436	21,862	701,464
Trading portfolio liabilities	(42,009)	(14,733)	(87)	(56,829)	(27,033)	(28,754)	(395)	(56,182)
Financial liabilities designated at fair value	(1,702)	(286,972)	(4,853)	(293,527)	(181)	(276,355)	(3,241)	(279,777)
Derivative financial liabilities	(93)	(237,599)	(3,065)	(240,757)	(86)	(276,064)	(3,181)	(279,331)
Total liabilities	(43,804)	(539,304)	(8,005)	(591,113)	(27,300)	(581,173)	(6,817)	(615,290)

The following table shows Barclays Bank Group’s Level 3 assets and liabilities that are held at fair value disaggregated by

product type. Product type is broadly similar for Barclays Bank PLC.


As at 31 December 2025	Loans	Corporate debt	Asset backed securities	Government and Government sponsored debt	Private equity invest- ments	Issued debt	Reverse repurchase and repurchase agreements	Interest rate derivatives	Equity derivatives	Other products1	Total
As at 31 December 2025	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m
Trading portfolio assets	5,667	1,849	874	1,513	—	—	—	—	—	444	10,347
Financial assets at fair value through the income statement	4,620	905	188	33	268	—	97	—	—	75	6,186
Derivative financial assets	—	—	—	—	—	—	—	759	520	431	1,710
Financial assets at fair value through other comprehensive income	2,235	25	756	52	—	—	—	—	—	—	3,068
Investment property	—	—	—	—	—	—	—	—	—	43	43
Total assets	12,522	2,779	1,818	1,598	268	—	97	759	520	993	21,354
Trading portfolio liabilities	—	(36)	—	(34)	—	—	—	—	—	(17)	(87)
Financial liabilities designated at fair value	—	—	—	—	—	(3,760)	(887)	—	—	(206)	(4,853)
Derivative financial liabilities	—	—	—	—	—	—	—	(612)	(1,602)	(851)	(3,065)
Total liabilities	—	(36)	—	(34)	—	(3,760)	(887)	(612)	(1,602)	(1,074)	(8,005)


As at 31 December 2024	Loans	Corporate debt	Asset backed securities	Government and Government sponsored debt	Private equity investments	Issued debt	Reverse repurchase and repurchase agreements	Interest rate derivatives	Equity derivatives	Other products1	Total
As at 31 December 2024	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m
Trading portfolio assets	6,146	1,590	991	1,018	—	—	—	—	—	370	10,115
Financial assets at fair value through the income statement	3,991	913	139	35	219	—	539	—	—	155	5,991
Derivative financial assets	—	—	—	—	—	—	—	1,193	477	403	2,073
Financial assets at fair value through other comprehensive income	2,858	47	757	12	—	—	—	—	—	—	3,674
Investment property	—	—	—	—	—	—	—	—	—	9	9
Total assets	12,995	2,550	1,887	1,065	219	—	539	1,193	477	937	21,862
Trading portfolio liabilities	—	(374)	(6)	—	—	—	—	—	—	(15)	(395)
Financial liabilities designated at fair value	—	—	—	—	—	(1,842)	(1,379)	—	—	(20)	(3,241)
Derivative financial liabilities	—	—	—	—	—	—	—	(1,013)	(1,219)	(949)	(3,181)
Total liabilities	—	(374)	(6)	—	—	(1,842)	(1,379)	(1,013)	(1,219)	(984)	(6,817)

Note

1Other products include certificate of deposits, funds and fund-linked products, equity cash products, investment property, credit derivatives and

foreign exchange derivatives.

Valuation techniques

The valuation techniques and observability used are described below.

Loans

Description: A drawn lending facility issued to corporate clients and customers.

Also includes Prime Brokerage Margin lending, and other similar secured lending agreements. The agreements are primarily

short-term in nature.

Valuation: Loans are valued either using a price-based approach, or through models that discount expected future cash

flows based on interest rates and loan spreads.

Prime Brokerage Margin Lending transactions are generally valued by discounting the expected future cash flows, using

industry standard models that incorporate market interest rates and repurchase rates, based on the specific details of the

transaction.

Observability: Within this loan population, the price or loan spread may be generally unobservable.

For Margin Lending inputs are deemed observable up to liquid maturities, and are determined based on the specific features

of the transaction. Unobservable inputs are generally set by referencing liquid market instruments and applying

extrapolation techniques, or inferred via another reasonable method.

Corporate debt

Description: Primarily corporate bonds.

Valuation: Corporate bonds are valued using observable market prices sourced from broker quotes, inter-dealer prices or

other reliable pricing sources.

Observability: Prices for actively traded bonds are considered observable. Unobservable bond prices are generally

determined by reference to bond yields or credit default swap (CDS) spreads for actively traded instruments issued by or

referencing the same (or a similar) issuer.

Asset backed securities

Description: Securities that are linked to the cash flows of a pool of referenced assets via securitisation. The category

includes residential mortgage backed securities, commercial mortgage backed securities, collateralised debt obligations

(CDOs), collateralised loan obligations (CLOs) and other asset backed securities.

Valuation: Where available, valuations are based on observable market prices sourced from broker quotes and inter-dealer

prices and external vendors who provide pricing. Otherwise, valuations are determined using industry standard discounted

cash flow analysis that calculates the fair value based on valuation inputs such as constant default rate, conditional

prepayment rate, loss given default and yield. These inputs are determined by reference to a number of sources including

proxying to observed transactions, market indices or market research, and by assessing underlying collateral performance.

Proxying to observed transactions, indices or research requires an assessment and comparison of the relevant securities’

underlying attributes including collateral, tranche, vintage, underlying asset composition (historical losses, borrower

characteristics and loan attributes such as loan to value ratio and geographic concentration) and credit ratings (original and

current).

Observability: Where an asset backed product does not have an observable market price and the valuation is determined

using a discounted cash flow analysis, the instrument is considered unobservable.

Government and Government sponsored debt

Description: Government bonds, supra sovereign bonds and agency bonds.

Valuation: Liquid bonds that are actively traded through an exchange or clearing house are marked to the levels observed in

these markets. Other actively traded bonds are valued using observable market prices sourced from broker quotes, inter-

dealer prices or other reliable pricing sources.

Observability: Observability assessment is performed with reference to bond market trading data. Bonds are assessed at

Level 1 if they are traded in active market with a quoted price in line with requirements of IFRS 13. Unobservable bonds

prices are generally determined by reference to bond yields for actively traded bonds from the same (or a similar) issuer.

Private equity investments

Description: Includes investments in equity holdings in operating companies not quoted on a public exchange.

Valuation: Private equity investments are valued in accordance with the ‘International Private Equity and Venture Capital

Valuation Guidelines’ which require the use of a number of individual pricing benchmarks such as the prices of recent

transactions in the same or similar entities, discounted cash flow analysis and comparison with the earnings or revenue

multiples of listed companies. While the valuation of unquoted equity instruments is subjective by nature, the relevant

methodologies are commonly applied by other market participants and have been consistently applied over time.

Observability: Inputs are considered observable if there is active trading in a liquid market of products with significant

sensitivity to the inputs. Unobservable inputs include earnings or revenue estimates, multiples of comparative companies,

marketability discounts and discount rates.

Issued debt

Description: Debt notes issued by Barclays.

Valuation: Issued debt is valued using discounted cash flow techniques incorporating various inputs observed for each

instrument.

Observability: Barclays issued notes are generally observable. Structured notes are debt instruments containing embedded

derivatives. Where either an input to the embedded derivative or the debt instrument is deemed unobservable and

significant to the overall valuation of the note, the structured note is classified as Level 3.

Reverse repurchase and repurchase agreements

Description: Includes securities purchased under resale agreements, securities sold under repurchase agreements, and other

similar secured lending agreements. The agreements are primarily short-term in nature.

Valuation: Repurchase and reverse repurchase agreements are generally valued by discounting the expected future cash

flows using industry standard models that incorporate market interest rates and repurchase rates, based on the specific

details of the transaction.

Observability: Inputs are deemed observable up to liquid maturities or for consensus pricing with low pricing-range and are

determined based on the specific features of the transaction. Unobservable inputs are generally set by referencing liquid

market instruments and applying extrapolation techniques or inferred via another reasonable method.

Interest rate derivatives

Description: Derivatives linked to interest rates or inflation indices. The category includes futures, interest rate and inflation

swaps, swaptions, caps, floors, inflation options and other exotic interest rate derivatives.

Valuation: Interest rate and inflation derivatives are generally valued using curves of forward rates constructed from market

data to project and discount the expected future cash flows of trades. Instruments with optionality are valued using

volatilities implied from market inputs and use industry standard or bespoke models depending on the product type.

Observability: In general, inputs are considered observable up to liquid maturities which are determined separately for each

input and underlying. Unobservable inputs are generally set by referencing liquid market instruments and applying

extrapolation techniques or inferred via another reasonable method.

Equity derivatives

Description: Exchange traded or OTC derivatives linked to equity indices and single names. The category includes vanilla and

exotic equity products.

Valuation: Equity derivatives are valued using industry standard models. Valuation inputs include stock prices, dividends,

volatilities, interest rates, equity repurchase curves and, for multi-asset products, correlations.

Observability: In general, valuation inputs are observable up to liquid maturities which are determined separately for each

input and underlying. Unobservable inputs are set by referencing liquid market instruments and applying extrapolation

techniques or inferred via another reasonable method.

Foreign exchange derivatives

Description: Derivatives linked to the foreign exchange (FX) market. The category includes FX forward contracts, FX swaps

and FX options. The majority are traded as over the counter (OTC) derivatives.

Valuation: FX derivatives are valued using industry standard and bespoke models depending on the product type. Valuation

inputs include FX rates, interest rates, FX volatilities, interest rate volatilities, FX interest rate correlations and others as

appropriate.

Observability: FX correlations, forwards and volatilities are generally observable up to liquid maturities which are determined

separately for each input and underlying.

Unobservable inputs are set by referencing liquid market instruments and applying extrapolation techniques, or inferred via

another reasonable method.

Credit derivatives

Description: Derivatives linked to the credit spread of a referenced entity, index or basket of referenced entities or a pool of

referenced assets (e.g. a securitised product). The category includes single name and index credit default swaps (CDS) and

total return swaps (TRS).

Valuation: Credit derivatives are valued on industry standard models using curves of credit spreads as the principal input.

Credit spreads are observed directly from broker data, third party vendors or priced to proxies.

Observability: Credit derivative contracts referencing entities that are actively traded are generally considered observable.

Other valuation inputs are considered observable if products with significant sensitivity to the inputs are actively traded in a

liquid market. Unobservable valuation inputs are generally determined with reference to recent benchmark transactions or

inferred from observable trades of the same issuer or similar entities.

Assets and liabilities transferred between levels

During the year ended 31 December 2025, there were £33.5bn assets and £(9.8)bn liabilities transferred from Level 2 to

Level 1 for the Barclays Bank Group (year ended 31 December 2024: there were no material transfers). Additionally, there

were £0.7bn assets and £(2.8)bn liabilities transferred from Level 2 to Level 3 (year ended 31 December 2024: there were no

material transfers). These transfers reflect enhancement to the Bank’s levelling policy, including the use of additional data in

the active market assessment of Level 1 government bonds and updated assessments of unobservable market parameters

for government bonds and issued debt, resulting in an increase in Level 3 balances.

Level 3 movement analysis

The following table summarises the movements in the Level 3 balances during the year. Transfers have been reflected as if

they had taken place at the beginning of the year.

Asset and liability transfers between Level 2 and Level 3 are primarily due to i) an increase or decrease in observable market

activity related to an input or ii) a change in the significance of the unobservable input, with assets and liabilities classified as

Level 3 if an unobservable input is deemed significant.


Analysis of movements in Level 3 assets and liabilities
	As at 1 January 2025					Total gains and (losses) in the period recognised in the income statement		Total gains and (losses) in the period recognised in OCI	Transfers		As at 31 Dec 2025
	As at 1 January 2025	Purchases	Sales	Issues	Settlements	Trading income2	Other income	Total gains and (losses) in the period recognised in OCI	In	Out	As at 31 Dec 2025
Barclays Bank Group	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m
Trading portfolio assets	10,115	5,810	(4,157)	—	(1,554)	151	—	—	382	(400)	10,347
Financial assets at fair value through the income statement	5,991	2,705	(1,156)	—	(1,232)	14	(22)	—	59	(173)	6,186
Financial assets at fair value through other comprehensive income	3,674	895	(591)	—	(1,030)	4	(2)	—	118	—	3,068
Investment property	9	34	—	—	—	—	—	—	—	—	43
Trading portfolio liabilities	(395)	(55)	25	—	352	2	—	—	(28)	12	(87)
Financial liabilities designated at fair value	(3,241)	—	29	(503)	1,020	43	—	—	(2,954)	753	(4,853)
Net derivative financial instruments1	(1,108)	(447)	221	—	—	(44)	1	—	3	19	(1,355)
Total	15,045	8,942	(5,629)	(503)	(2,444)	170	(23)	—	(2,420)	211	13,349


Analysis of movements in Level 3 assets and liabilities
	As at 1 January 2024					Total gains and (losses) in the period recognised in the income statement		Total gains and (losses) in the period recognised in OCI	Transfers		As at 31 Dec 2024
	As at 1 January 2024	Purchases	Sales	Issues	Settlements	Trading income2	Other income	Total gains and (losses) in the period recognised in OCI	In	Out	As at 31 Dec 2024
Barclays Bank Group	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m
Trading portfolio assets	6,509	5,848	(1,817)	—	(865)	(9)	—	—	775	(326)	10,115
Financial assets at fair value through the income statement	5,368	2,540	(1,524)	—	(582)	—	56	—	206	(73)	5,991
Financial assets at fair value through other comprehensive income	776	3,116	(43)	—	—	3	22	—	—	(200)	3,674
Investment property	2	9	(2)	—	—	—	—	—	—	—	9
Trading portfolio liabilities	(368)	(26)	20	—	—	(7)	—	—	(15)	1	(395)
Financial liabilities designated at fair value	(1,212)	(409)	—	(1,147)	143	(74)	—	—	(892)	350	(3,241)
Net derivative financial instruments1	(1,113)	(571)	(7)	—	(15)	(66)	—	—	163	501	(1,108)
Total	9,962	10,507	(3,373)	(1,147)	(1,319)	(153)	78	—	237	253	15,045

Notes

1The derivative financial instruments are represented on a net basis. On a gross basis, derivative financial assets are £1,710m (2024: £2,073m) and

derivative financial liabilities are £(3,065)m (2024: £(3,181)m).

2Trading income represents gains and losses on Level 3 financial instruments which in the majority are offset by losses and gains on financial

instruments disclosed in Level 2.

Unrealised gains and losses on Level 3 assets and liabilities

The following tables disclose the unrealised gains and losses recognised in the year arising on Level 3 assets and liabilities

held at year end.


Unrealised gains and (losses) recognised during the period on Level 3 assets and liabilities held at year end
	2025				2024
	Income statement		Other compre- hensive income		Income statement		Other compre- hensive income
	Trading income1	Other income	Other compre- hensive income	Total	Trading income1	Other income	Other compre- hensive income	Total
Barclays Bank Group	£m	£m	£m	£m	£m	£m	£m	£m
Trading portfolio assets	36	—	—	36	(9)	—	—	(9)
Financial assets at fair value through the income statement	13	(23)	—	(10)	—	55	—	55
Financial assets at fair value through other comprehensive income	4	(1)	—	3	3	22	—	25
Investment property	—	—	—	—	—	—	—	—
Trading portfolio liabilities	1	—	—	1	(7)	—	—	(7)
Financial liabilities designated at fair value	43	—	—	43	(77)	—	—	(77)
Net derivative financial instruments	(44)	1	—	(43)	(58)	—	—	(58)
Total	53	(23)	—	30	(148)	77	—	(71)

Note

1Trading income represents gains and losses on Level 3 financial instruments which in the majority are offset by losses and gains on financial

instruments disclosed in Level 2.

Significant unobservable inputs

The following table discloses the valuation techniques and significant unobservable inputs for material products recognised

at fair value and classified as Level 3 along with the range of values used for those significant unobservable inputs:



	Valuation technique(s)1	Significant unobservable inputs	2025		2024
			Range		Range
			Min	Max	Min	Max	Units2
Derivative financial instruments3
Interest rate derivatives	Discounted cash flows	Inflation forwards	n/m4	n/m4	3	3	%
		Credit spread	8	2,070	14	1,972	bps
		Yield	—	5	—	12	%
	Option model	Interest rate volatility	29	152	19	175	bps vol
		FX - IR correlation	(36)	30	(36)	30	%
		IR - IR correlation	35	98	33	98	%
		IR - Inflation correlation	10	10	10	10	%
		Inflation - Inflation correlation	5	5	5	5	%
Equity derivatives	Option model	Equity volatility	1	88	1	133	%
		Equity - equity correlation	15	100	40	100	%
	Discounted cash flow	Discount margin	(190)	350	(215)	351	bps
Non-derivative financial instruments
Loans	Discounted cash flows	Loan spread	30	942	35	908	bps
		Credit spread	194	420	194	1,011	bps
		Discount margin	780	1,170	230	345	bps
		Yield	5	8	2	18	%
	Comparable pricing	Comparable price	—	186	—	240	points
Private Equity investments	EBITDA multiple	EBITDA multiple	6	17	—	—	Multiple
Asset backed securities	Comparable pricing	Comparable price	—	530	—	125	points
	Discounted cash flows	Discount margin	n/m4	n/m4	(137)	(25)	bps
	Option Model	Equity volatility	n/m4	n/m4	15	32	%
Corporate debt	Comparable pricing	Comparable price	—	239	—	2,322	points
Government and Government sponsored debt	Comparable pricing	Comparable price	—	231	—	123	points
Issued debt	Discounted cash flows	Credit spread	80	120	50	198	bps
	Option model	Equity volatility	1	95	1	111	%
		Interest rate volatility	37	178	19	211	bps vol
Reverse repurchase and repurchase agreements	Discounted cash flows	Repo spread	100	148	14	186	bps

Notes

1A range has not been provided for Net Asset Value as there would be a wide range reflecting the diverse nature of the positions.

2The units used to disclose ranges for significant unobservable inputs are percentages, points and basis points. Points are a percentage of par; for

example, 100 points equals 100% of par. A basis point equals 1/100th of 1%; for example, 150 basis points equals 1.5%.

3Certain derivative instruments are classified as Level 3 due to a significant unobservable credit spread input into the calculation of the Credit

Valuation Adjustment for the instruments.

4 Non-material Level 3 balances for these unobservable inputs.

The following section describes the significant unobservable inputs identified in the table above, and the sensitivity of fair

value measurement of the instruments categorised as Level 3 assets or liabilities to increases in significant unobservable

inputs. Where sensitivities are described, the inverse relationship will also generally apply.

Where reliable interrelationships can be identified between significant unobservable inputs used in fair value measurement, a

description of those interrelationships is included below.

Forwards

A price or rate that is applicable to a financial transaction that will take place in the future.

In general, a significant increase in a forward in isolation will result in a fair value increase for the contracted receiver of the

underlying (currency, bond, commodity, etc.), but the sensitivity is dependent on the specific terms of the instrument.

Credit spread

Credit spreads typically represent the difference in yield between an instrument and a benchmark security or reference rate.

Credit spreads reflect the additional yield that a market participant demands for taking on exposure to the credit risk of an

instrument and forms part of the yield used in a discounted cash flow calculation.

In general, a significant increase in credit spread in isolation will result in a fair value decrease for a cash asset.

For a derivative instrument, a significant increase in credit spread in isolation can result in a fair value increase or decrease

depending on the specific terms of the instrument.

Volatility

Volatility is a measure of the variability or uncertainty in return for a given derivative underlying. It is an estimate of how

much a particular underlying instrument input or index will change in value over time. In general, volatilities are implied from

observed option prices. For unobservable options the implied volatility may reflect additional assumptions about the nature

of the underlying risk, and the strike/maturity profile of a specific contract.

In general, a significant increase in volatility in isolation will result in a fair value increase for the holder of a simple option,

but the sensitivity is dependent on the specific terms of the instrument.

There may be interrelationships between unobservable volatilities and other unobservable inputs (e.g. when equity prices

fall, implied equity volatilities generally rise) but these are generally specific to individual markets and may vary over time.

Correlation

Correlation is a measure of the relationship between the movements of two variables. Correlation can be a significant input

into valuation of derivative contracts with more than one underlying instrument. Credit correlation generally refers to the

correlation between default processes for the separate names that make up the reference pool of a collateralised debt

obligation (CDO) structure.

A significant increase in correlation in isolation can result in a fair value increase or decrease depending on the specific terms

of the instrument.

Discount Margin

Discount margin represents the additional yield over a benchmark rate that market participants require to compensate for

credit risk, liquidity risk, and other factors associated with the instrument. Commonly used in discounted cash flow

valuations

In general, a significant increase in discount margin in isolation will result in a fair value decrease for the instrument, as

higher required returns reduce present value. The sensitivity depends on the specific terms of the instrument.

Repo Spread

Repo spread refers to the difference between the repurchase agreement rate and a benchmark funding rate. It reflects

market conditions, counterparty credit risk, and liquidity premiums that influence the cost of financing through repos.

In general, a significant increase in repo spread in isolation will result in a fair value decrease for the instrument, as higher

financing costs reduce its attractiveness. The sensitivity is dependent on the specific contractual terms.

Comparable price

Comparable instrument prices are used in valuation by calculating an implied yield (or spread over a liquid benchmark) from

the price of a comparable observable instrument, then adjusting that yield (or spread) to account for relevant differences

such as maturity or credit quality. Alternatively, a price-to-price basis can be assumed between the comparable and

unobservable instruments in order to establish a value.

Loans include a portfolio of loans extended to clients within the Barclays Bank Group’s leveraged finance business.

Leveraged finance loans are originated where Barclays Bank Group provides financing commitments to clients to facilitate

strategic transactions such as leverage buyouts and acquisitions. The sensitivity of the portfolio to unobservable inputs is

judgmental reflecting their illiquid nature and the significance of unobservable price inputs to the valuation.

In general, a significant increase in comparable price in isolation will result in an increase in the price of the unobservable

instrument. For derivatives, a change in the comparable price in isolation can result in a fair value increase or decrease

depending on the specific terms of the instrument.

Loan spread

Loan spreads typically represent the difference in yield between an instrument and a benchmark security or reference rate.

Loan spreads typically reflect credit quality, the level of comparable assets such as gilts and other factors, and form part of

the yield used in a discounted cash flow calculation.

In general, a significant increase in loan spreads in isolation will result in a fair value decrease for a loan.

Sensitivity Analysis

Sensitivity analysis is performed on products with significant unobservable inputs (Level 3) to generate a range of

reasonably possible alternative valuations. The sensitivity methodologies applied take account of the nature of the valuation

techniques used, as well as the availability and reliability of observable proxy and historical data and the impact of using

alternative models.

Sensitivities are calculated on a monthly basis. The calculation is based on range or spread data of a reliable reference source

or a scenario based on relevant market analysis alongside the impact of using alternative models. Sensitivities are calculated

without reflecting the impact of any diversification in the portfolio.


Sensitivity analysis of valuations using unobservable inputs (relates to Level 3 portfolios)
	2025				2024
	Favourable changes		Unfavourable changes		Favourable changes		Unfavourable changes

	Income statement	Equity	Income statement	Equity	Income statement	Equity	Income statement	Equity
Barclays Bank Group	£m	£m	£m	£m	£m	£m	£m	£m
Loans	201	21	(297)	(37)	577	43	(742)	(43)
Corporate debt	88	—	(68)	—	87	—	(56)	—
Asset backed securities	51	6	(43)	(6)	57	4	(40)	(4)
Government and Government sponsored debt	45	—	(41)	—	47	—	(56)	—
Private equity investments	37	—	(37)	—	28	—	(28)	—
Interest rate derivatives	109	—	(134)	—	98	—	(212)	—
Equity derivatives	336	—	(336)	—	199	—	(269)	—
Other products1	105	312	(104)	(89)	91	—	(104)	—
Total	972	339	(1,060)	(132)	1,184	47	(1,507)	(47)

Note

1Other products include issued debt, reverse repurchase and repurchase agreements, certificate of deposits, funds and fund-linked products,

equity cash products, credit derivatives and foreign exchange derivatives.

The effect of stressing unobservable inputs to a range of reasonably possible alternatives, alongside considering the impact

of using alternative models, would be to increase fair values by up to £1,311m (2024: £1,231m) or to decrease fair values by

up to £1,192m (2024: £1,554m) with substantially all the potential effect impacting profit and loss. Unfavourable changes

shown in the table above are partly provided for through the capital and prudential valuation adjustment framework.

Fair value adjustments

Key balance sheet valuation adjustments are quantified below:


	2025	2024
Barclays Bank Group	£m	£m
Exit price adjustments derived from market bid-offer spreads	(618)	(529)
Uncollateralised derivative funding	62	19
Derivative credit valuation adjustments	(155)	(184)
Derivative debit valuation adjustments	119	108

Exit price adjustments derived from market bid-offer spreads

Barclays Bank Group uses mid-market pricing where it is a market maker and has the ability to transact at, or better than,

mid-price (which is the case for certain equity, bond and vanilla derivative markets). For other financial assets and liabilities,

bid-offer adjustments are recorded to reflect the exit level for the expected close out strategy. The methodology for

determining the bid-offer adjustment for a derivative portfolio involves calculating the net risk exposure by offsetting long

and short positions by strike and term in accordance with the risk management and hedging strategy.

Bid-offer levels are generally derived from market quotes such as broker data. Less liquid instruments may not have a

directly observable bid-offer level. In such instances, an exit price adjustment may be derived from an observable bid-offer

level for a comparable liquid instrument, or determined by calibrating to derivative prices, or by scenario or historical

analysis.

Exit price adjustments derived from market bid-offer spreads have increased by £89m.

Discounting approaches for derivative instruments

Collateralised

In line with market practice, the methodology for discounting collateralised derivatives takes into account the nature and

currency of the collateral that can be posted within the relevant credit support annex (CSA). The CSA aware discounting

approach recognises the ‘cheapest to deliver’ option that reflects the ability of the party posting collateral to change the

currency of the collateral.

Uncollateralised

A fair value adjustment of £62m is applied to account for the impact of incorporating the cost/benefit of funding into the

valuation of uncollateralised and partially collateralised derivative portfolios and collateralised derivatives where the terms of

the agreement do not allow the rehypothecation of collateral received. The derivative funding adjustment has moved by

£43m.

Derivative credit and debit valuation adjustments

Derivative credit valuation adjustments and derivative debit valuation adjustments are incorporated into derivative

valuations to reflect the impact on fair value of counterparty credit risk and Barclays Bank Group’s own credit quality

respectively. These adjustments are calculated for uncollateralised and partially collateralised derivatives across all asset

classes. Derivative credit valuation adjustments and derivative debit valuation adjustments are calculated using estimates of

exposure at default, probability of default and recovery rates, at a counterparty level. Counterparties include (but are not

limited to) corporates, Sovereigns and Sovereign agencies and Supranationals.

Exposure at default is generally estimated through the simulation of underlying risk factors through approximating with a

more vanilla structure, or by using current or scenario-based mark to market as an estimate of future exposure.

Probability of default and recovery rate information is generally sourced from the credit default swap (CDS) markets. Where

this information is not available, or considered unreliable, alternative approaches are taken based on mapping internal

counterparty ratings onto historical or market-based default and recovery information.

Derivative credit valuation adjustments decreased by £29m. Derivative debit valuation adjustments increased by £(11)m.

Correlation between counterparty credit and underlying derivative risk factors, termed ‘wrong-way,’ or ‘right-way’ risk, is not

systematically incorporated into the derivative credit valuation adjustments calculation but is adjusted where the underlying

exposure is directly related to the counterparty.

Barclays Bank Group continues to monitor market practices and activity to ensure the approach to uncollateralised

derivative valuation remains appropriate.

Unrecognised gains as a result of the use of valuation models using unobservable inputs

The amount that is yet to be recognised in income, relating to the difference between the transaction price (the fair value at

initial recognition) and the amount that would have arisen had valuation models using unobservable inputs been used on

initial recognition, is £258m (2024: £267m) for financial instruments measured at fair value. There are additions and FX

revaluation of £54m (2024: £177m) and amortisation and releases of £63m (2024: £104m) for these instruments. For

financial instruments carried at amortised cost, the amount that is yet to be recognised in income is £16m (2024: £17m).

There are additions of £nil (2024: £nil) and amortisation and releases of £1m (2024: £1m) for these instruments.

Third-party credit enhancements

Structured and brokered certificates of deposit issued by Barclays Bank Group are insured up to $250,000 per depositor by

the Federal Deposit Insurance Corporation (FDIC) in the United States. The FDIC is funded by fees that Barclays Bank Group

and other banks pay for deposit insurance coverage. The carrying value of these issued certificates of deposit that are

designated under the IFRS 9 fair value option includes this third-party credit enhancement. The on-balance sheet value of

these brokered certificates of deposit amounted to £4,156m (2024: £4,844m).

Comparison of carrying amounts and fair values for assets and liabilities not held at fair value

The following table shows the fair value of financial assets and liabilities measured at amortised cost on Barclays Bank

Group’s and Barclays Bank PLC's balance sheet disaggregated by the fair value hierarchy and balance sheet classification.

The fair value is an estimate of the price that would be received to sell an asset or paid to transfer a liability in an orderly

transaction between market participants at the measurement date. As a wide range of valuation techniques are available, it

may not be appropriate to directly compare this fair value information to independent market sources or other financial

institutions. Different valuation methodologies and assumptions can have a significant impact on fair values which are based

on unobservable inputs.


Barclays Bank Group	2025					2024
	Carrying amount	Fair value	Level 1	Level 2	Level 3	Carrying amount	Fair value	Level 1	Level 2	Level 3
	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m
Financial assets
Debt securities at amortised cost	55,153	54,165	31,675	19,043	3,447	50,227	49,400	18,307	29,509	1,584
Loans and advances at amortised cost	150,786	152,780	7,365	67,077	78,338	144,827	146,369	6,791	67,601	71,977
Reverse repurchase agreements and other similar secured lending	17,662	17,662	—	17,662	—	3,393	3,393	—	3,393	—
Assets included in disposal groups classified as held for sale	5,801	6,065	—	—	6,065	9,544	9,628	—	3,520	6,108
Financial liabilities
Deposits at amortised cost	(344,751)	(344,803)	(215,669)	(128,205)	(929)	(319,376)	(319,135)	(203,393)	(115,172)	(570)
Repurchase agreements and other similar secured borrowing	(18,651)	(18,651)	—	(18,651)	—	(29,397)	(29,397)	—	(29,397)	—
Debt securities in issue	(57,229)	(57,170)	—	(56,343)	(827)	(35,803)	(35,745)	—	(34,612)	(1,133)
Subordinated liabilities	(45,239)	(47,511)	—	(46,850)	(661)	(41,875)	(43,030)	—	(42,189)	(841)
Liabilities included in disposal groups classified as held for sale	—	—	—	—	—	(3,647)	(3,647)	—	(3,647)	—

Debt Securities at amortised cost

Debt securities at amortised cost are valued using observable market prices sourced from broker quotes, inter-dealer prices

or other reliable pricing sources. Observability assessment is performed with reference to bond market trading data. Bonds

are assessed at Level 1 if they are traded in active market with a quoted price in line with requirements of IFRS 13. Where

market data for the underlying bond is unavailable, a number of proxy/extrapolation techniques are employed to determine

the appropriate fair value. The enhancements noted in levelling policy are applicable to the government bonds reported at

amortised cost.

Loans and advances at amortised cost

The fair value of loans and advances, for the purpose of this disclosure, is derived from discounting expected cash flows in a

way that reflects the current market price or loan spreads of the borrowers. Where market data or credit information on the

underlying borrowers is unavailable, a number of proxy/extrapolation techniques are employed to determine the

appropriate discount rates.

Reverse repurchase agreements and other similar secured lending

The fair value of reverse repurchase agreements approximates carrying amounts as these balances are generally short dated

and fully collateralised.

Deposits at amortised cost

In many cases, the fair value disclosed approximates carrying value because the instruments are short-term in nature or

have interest rates that reprice frequently, such as customer accounts and other deposits and short-term debt securities.

The fair value for deposits with longer-term maturities, mainly time deposits, are estimated using discounted cash flows

applying either market rates or current rates for deposits of similar remaining maturities.

Repurchase agreements and other similar secured borrowing

The fair value of repurchase agreements approximates carrying amounts as these balances are generally short dated.

Debt securities in issue

Fair values of other debt securities in issue are based on quoted prices where available or, where the instruments are short

dated, carrying amount approximates fair value.

Subordinated liabilities

Fair values for dated and undated convertible and non-convertible loan capital are based on quoted market rates for the

issuer concerned or issuers with similar terms and conditions.

Assets & liabilities included in disposal groups classified as held for sale

The fair value for the purposes of this disclosure has been prepared in accordance with the products held for sale, and

valuation techniques used to determine the expected sales price of these assets and liabilities that will be achieved when the

disposal group is sold.